[Gretl-users] Re: Kalman and MLE issue

On Sun, 29 Dec 2019, Allin Cottrell wrote: > On Mon, 30 Dec 2019, Alecos Papadopoulos wrote: > >> ok, thanks Allin. >> >> Maybe the following part in the User guide should be rephrased in >> some future version, Section 34.6, pp. 308, presenting the ksmooth >> thing >> >> <<On successful completion, */all the quantities/* computed by >> kfilter are available as bundle members >> (see section 34.5),...>> >> >> This is what gave me the impression that I could use ksmooth (this >> and the first sentence in p. 308 that says <<Note that since ksmooth >> starts with a forward pass, it can be run without a prior call to >> kfilter.>>) > > Good point. Looks like we need to correct something there, either in > the doc or the substance of what's going on. > > Jack -- any thoughts? (When you get back!) I'm just back. :) I see no good reason why we couldn't offer the likelihood after ksmooth(), although in principle that's something you only need the forward pass for. Therefore, inserting ksmooth() in a mle loop will just waste electricity and release unnecessary CO2 into the atmosphere. Whenever you need to estimate parameters via MLE and the loglikelihood is computed via the Kalman filter, the sane thing to do is use kfilter() inside the mle loop and ksmooth() right afterwards if you need the smoothed states. If we decide to go for the environment-friendly option and keep things the way they are now, perhaps we could add the paragraph above to the documentation. -------------------------------------------------------   Riccardo (Jack) Lucchetti   Dipartimento di Scienze Economiche e Sociali (DiSES)   Università Politecnica delle Marche   (formerly known as Università di Ancona)   r.lucchetti(a)univpm.it   http://www2.econ.univpm.it/servizi/hpp/lucchetti ------------------------------------------------------- _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/